Tag: arima
How Classical Statistics Beats the Naive Model (By $1.20)
by
Jerome Etienne
on
Mon Jun 01 2026
ARIMA with three to seven parameters on differenced prices, fit on the same Bitcoin slice. The win on MAE is razor-thin, but the directional accuracy and Sharpe tell a different story - and the order sweep reveals that in-sample selection criteria don't rank out-of-sample trading metrics.